Derivative Strategy 11th Dec 13.pub - Microsec

11th December, 2013 CA. Vinit Pagaria, CFA, FRM E-mail: [email protected]

DERIVATIVE STRATEGY 11th Dec 2013 ANALYSIS OF FUTURES & OPTIONS MARKET N IFTY

DAILY CHART

D ECEMBER F UTURE

Price: 6369.50 (-0.35%) Premium: 36.65 Open Int: 21976700 (+2%) J ANUARY F UTURE

Price: 6423.45 (-0.35%) Premium: 90.60 Open Int: 3618100 (+4%)

H IGHLIGHTS

⇒ Profit booking emerged in Nifty after making a new life time high on Monday and ♦Short NMDC Future Sell Dec Future @ Rs 143/- Target: Rs 135/SL: 149/- Lot Size: 2000

the profit booking continued on Tuesday also. The upside for Nifty appears capped at 6500-6550 while on the downside, a breach of 6270 might trigger a fall up to 6150 in the short term. In the medium term, the index could correct all the way up to 5680-5700

⇒ Nifty Call options of strike 6800 shed open interest by 18,654 lots while Nifty Put options of strike 6200 shed open interest by 11,601 lots

♦PNB Bear Spread Buy Dec 600 Put option @ Rs 16/- and Sell Dec 560 Put option @ Rs 6/Lot Size: 500

⇒ Nifty December Put Call ratio (OI) stands at 1.14 with the total open interest in Call options at 775,208 lots and that in Put options at 883,318 lots

⇒ Hero Motocorp, Hindustan Unilever, JSW Energy and MRF appear relatively strong while NTPC, BHEL, Oriental Bank of Commerce, NMDC, HPCL, ICICI Bank and PNB appear weak

⇒ Volatility Index fell by 6.16% from 19.16 to 17.98

N IFTY

S2

S1

PIVOT

R1

R2

P IVOT P OINTS

6280

6306

6334

6361

6389

D ERIVATIVE S TRATEGY

P AGE 3

OPTION STRATEGY

Scrip/Index: PNB Strategy: Bear Spread Current Price of Underlying: Rs 606.05 Lot Size: 500 Long December 600 Put option @ Rs 16/- and Short December 560 Put option @ Rs 6/Profitable when closing price is below Rs 590/- on expiry Maximum Potential Profit: Rs 15,000/-

Maximum Possible Loss: Rs 5,000/-

Time to Expiry: 16 days

Pay-off Chart 20000

15000

Profit/Loss

10000

5000

-5000

-10000

Closing price of underlying on expiry

620

616

612

608

604

600

596

592

588

584

580

576

572

568

564

560

556

552

548

544

540

0

D ERIVATIVE S TRATEGY

P AGE 4

STOCK FUTURES - NIFTY STOCKS

D ERIVATIVE S TRATEGY

P AGE 5

STOCK FUTURES - SECTORAL ANALYSIS

D ERIVATIVE S TRATEGY

P AGE 6

TOP PRICE GAINERS (STOCKS)

TOP PRICE LOSERS (STOCKS) Lot Size

Spot Price

% Change

NTPC Ltd

2000

136.05

-11.34

4.39

Adani Power

8000

38.70

-4.91

122.75

4.25

Jaiprakash Power

8000

19.65

-4.15

4000

57.60

4.25

Reliance Capital

1000

378.65

-4.07

4000

123.70

4.12

Larsen & Toubro

375

1100.40

-4.05

Lot Size

Spot price

% Change

Hindustan Zinc

2000

135.65

6.85

MRF Ltd

125

18513.50

Hexaware Tech

2000

JSW Energy Voltas Ltd

Scrip

Scrip

SIGNIFICANT OPEN INTEREST ADDITIONS (STOCKS) Price

% Change

Volume Spot

% Change

Open Interest

Absolute Change

% Change

NTPC Ltd

136.05

-11.34

65316385

823.33

26842000

11200000

71.60

Voltas Ltd

123.70

4.12

7431192

118.98

7444000

1264000

20.45

MRF Ltd

18513.50

4.39

31656

227.91

43125

6750

18.56

Hindustan Zinc

135.65

6.85

7864788

437.09

5562000

708000

14.59

Godrej Industries

271.20

-2.06

335523

-37.88

9730000

112000

13.01

CESC Ltd

405.30

3.38

453730

18.43

658000

66000

11.15

Contract

SIGNIFICANT OPEN INTEREST REDUCTIONS (STOCKS) Price

% Change

Volume Spot

% Change

Open Interest

Absolute Change

% Change

PTC India

62.60

-0.95

972758

-40.35

2804000

-276000

-9.00

OBC

224.00

-1.15

4722037

1.16

2854000

-267000

-8.56

Allahabad Bank

95.55

-0.68

3164534

-14.08

4970000

-384000

-7.30

REC Ltd

222.45

-1.09

2088191

16.91

2130000

-114000

-5.13

Reliance Infrastructure

438.90

-2.01

1850853

-25.70

4391000

-233000

-5.04

Contract

D ERIVATIVE S TRATEGY

OPTIONS OPEN INTEREST CONCENTRATION

P AGE 7

D ERIVATIVE S TRATEGY

P AGE 8

OPTIONS ANALYSIS

D ERIVATIVE S TRATEGY

P AGE 9

MOST ACTIVE FUTURE CONTRACTS Expiry Date

Price

Volume (Contracts)

Turnover (Rs lacs)

Value of Underlying

NIFTY FUTURE

26 DEC 13

6371.80

197255

628290

6332.85

ICICIBANK FUTURE

26 DEC 13

1167.25

24698

72658

1159.00

NTPC FUTURE

26 DEC 13

137.15

25101

69700

136.00

LT FUTURE

26 DEC 13

1107.55

16658

69591

1099.75

SBIN FUTURE

26 DEC 13

1855.20

28593

66791

1841.40

TATASTEEL FUTURE

26 DEC 13

426.10

14523

61588

423.00

Name

MOST ACTIVE NIFTY OPTION CONTRACTS Price (Premium)

Volume (No. of Lots)

Turnover (Rs lacs)

Delta

Gamma

Theta

Vega

DEC CE 6400

70.30

332926

1077886

0.4310

0.1095

-3.3513

5.2315

DEC CE 6500

33.45

305717

999311

0.2606

0.0955

-2.5214

4.3233

DEC PE 6300

56.70

253847

807803

-0.3866

0.1173

-1.9038

5.0951

DEC PE 6200

31.00

224236

699355

-0.2348

0.0872

-1.7938

4.0888

DEC CE 6600

13.10

179116

592478

0.1288

0.0640

-1.5309

2.7975

DEC PE 6400

98.00

156661

509616

-0.5870

0.1327

-1.4098

5.1843

Contract

MOST ACTIVE STOCK CALLS (VALUE)

Strike

Price

No. of contracts

SBIN Dec

1800

29.00

3920

4398

LT Dec

1100

26.00

1908

51.65

2706

SBIN Dec

1850

49.00

3041

900

12.10

5006

Tata Steel Dec

420

8.80

1452

140

3.15

3926

Tata Steel Dec

400

3.50

1459

Strike

Price

No. of contracts

SBIN Dec

1900

33.60

5412

TCS Dec

2100

39.00

Infy Dec

3400

Reliance Dec NTPC Dec

Name & Month

MOST ACTIVE STOCK PUTS (VALUE) Name & Month

D ERIVATIVE S TRATEGY

P AGE 10

FII ACTIVITY F&O Open Interest (Rs Crs) (10 Dec 2013)

FII Flows

2473

3000

1443

9

7 -18

25

183

-18

500

697

772

1000

396

1500

1152 864

Index Futures

Index Options

Stock Futures

-1000

17799.30, 17.03% 1259.16, 1.20%

32244.68, 30.85%

-1461

-1500

Stock Options

-691

Cash Market

-316

-500

-38

0

-734

Amount in Rs Crores

2000

53203.29, 50.91%

1760

1945

2500

-2000

5th Dec

6th Dec

9th Dec

10th Dec

Index Futures

Index Options

Stock Futures

Stock Options

* Source: www.nseindia.com (FII trades done on Exchanges)

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